基于GARCH模型的中国行业外汇风险暴露研究

Foreign exchange exposure of Chinese industrial sectors based on GARCH model

以道琼斯第一财经中国600行业领先指数所涵盖的14个行业为研究对象,运用广义自回归条件异方差(generalized autoregressive conditional heteroskedasticity,GARCH)模型,从汇率变动率的暴露、波动率的暴露以及波动率暴露的不对称性3个方面,对各行业的外汇风险暴露情况进行了研究.实证结果表明:在10%的显著性水平下,有6个行业具有显著的变动率暴露,其中2个行业从人民币升值中获益,4个行业受到人民币升值的不利影响;6个行业具有显著的波动率暴露系数;9个行业对汇率具有显著的波动率暴露不对称性.

The generalized autoregressive conditional heteroskedasticity （GARCH） model was used to investigate foreign exchange exposure of the 14 Chinese industrial sectors covered by Dow Jones CBN China 600 Sector Blue-Chip Indexes. The empirical research consisted of three aspects： sensitivity of sector returns to exchange rate changes, sensitivity of volatility of sector returns to volatility of changes in foreign exchange and asymmetric exposure in volatility. The results are as follows： 6 of the 14 sectors are significantly exposed to exchange rate changes, in which 4 sectors have been negatively affected by the appreciation of RMB, while the other two sectors have benefited from the strengthening of the currency; the volatility of 6 sectors＇ returns is significantly exposed to the volatility of changes in exchange rate, and 9 out of the 14 sectors exhibit asymmetric exposure in volatility.